March 27, 2024

March 27th, 2024

PerpetualDiscounts now yield 6.62%, equivalent to 8.61% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 15.02, an increase of 47bp in price, implying a decline of yields of 4bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.08%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 355bp reported March 20.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1438 % 2,364.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1438 % 4,534.6
Floater 10.18 % 10.28 % 44,421 9.35 1 1.1438 % 2,613.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0478 % 3,432.9
SplitShare 4.90 % 7.06 % 36,248 1.81 7 -0.0478 % 4,099.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0478 % 3,198.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0683 % 2,669.0
Perpetual-Discount 6.44 % 6.62 % 46,115 13.05 31 0.0683 % 2,910.4
FixedReset Disc 5.32 % 6.93 % 108,706 12.20 59 0.1517 % 2,483.1
Insurance Straight 6.33 % 6.46 % 51,523 13.29 22 -0.1338 % 2,842.6
FloatingReset 9.95 % 10.23 % 29,058 9.36 3 0.5098 % 2,607.7
FixedReset Prem 6.89 % 6.70 % 149,469 3.17 1 -0.0392 % 2,535.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1517 % 2,538.2
FixedReset Ins Non 5.39 % 7.18 % 75,133 12.60 14 0.2866 % 2,634.9
Performance Highlights
Issue Index Change Notes
IAF.PR.B Insurance Straight -8.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %
PVS.PR.K SplitShare -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.12 %
GWO.PR.H Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.46 %
BN.PR.B Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 12.38
Evaluated at bid price : 12.38
Bid-YTW : 10.28 %
BN.PR.T FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 8.87 %
NA.PR.G FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 23.26
Evaluated at bid price : 25.21
Bid-YTW : 6.52 %
CM.PR.O FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.94
Evaluated at bid price : 23.81
Bid-YTW : 6.08 %
PWF.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.60 %
BIP.PR.B FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.78
Evaluated at bid price : 23.15
Bid-YTW : 8.43 %
PWF.PR.S Perpetual-Discount 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.62 %
RY.PR.O Perpetual-Discount 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.42
Evaluated at bid price : 22.70
Bid-YTW : 5.45 %
TD.PF.B FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.29
Evaluated at bid price : 23.05
Bid-YTW : 6.35 %
MFC.PR.I FixedReset Ins Non 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.19
Evaluated at bid price : 22.68
Bid-YTW : 7.01 %
BN.PF.F FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.44 %
SLF.PR.C Insurance Straight 5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 219,834 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.98
Evaluated at bid price : 22.52
Bid-YTW : 6.46 %
TD.PF.L FixedReset Disc 186,789 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.46 %
CM.PR.T FixedReset Disc 182,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 5.55 %
CM.PR.O FixedReset Disc 70,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.94
Evaluated at bid price : 23.81
Bid-YTW : 6.08 %
RY.PR.H FixedReset Disc 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.54 %
BMO.PR.E FixedReset Disc 63,290 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 23.13
Evaluated at bid price : 24.84
Bid-YTW : 6.46 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 19.91 – 21.55
Spot Rate : 1.6400
Average : 0.9626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.26 %

IAF.PR.B Insurance Straight Quote: 20.01 – 22.50
Spot Rate : 2.4900
Average : 1.9685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %

PVS.PR.J SplitShare Quote: 23.06 – 24.06
Spot Rate : 1.0000
Average : 0.6245

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.79 %

PVS.PR.H SplitShare Quote: 23.90 – 24.99
Spot Rate : 1.0900
Average : 0.8864

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 6.51 %

POW.PR.D Perpetual-Discount Quote: 19.20 – 19.80
Spot Rate : 0.6000
Average : 0.4250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.54 %

IFC.PR.I Insurance Straight Quote: 21.07 – 21.87
Spot Rate : 0.8000
Average : 0.6819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.45 %

March 26, 2024

March 26th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8907 % 2,337.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8907 % 4,483.4
Floater 10.29 % 10.40 % 43,270 9.26 1 -0.8907 % 2,583.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0897 % 3,434.6
SplitShare 4.90 % 7.00 % 37,721 1.81 7 0.0897 % 4,101.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0897 % 3,200.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0016 % 2,667.1
Perpetual-Discount 6.44 % 6.64 % 46,456 12.95 31 -0.0016 % 2,908.4
FixedReset Disc 5.33 % 6.95 % 107,185 12.23 59 0.2053 % 2,479.3
Insurance Straight 6.32 % 6.47 % 49,492 13.28 22 0.2590 % 2,846.4
FloatingReset 10.00 % 10.27 % 30,241 9.31 3 -0.2449 % 2,594.5
FixedReset Prem 6.88 % 6.68 % 154,795 3.17 1 0.0784 % 2,536.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2053 % 2,534.4
FixedReset Ins Non 5.41 % 7.18 % 71,758 12.60 14 0.1361 % 2,627.4
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -6.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %
RY.PR.N Perpetual-Discount -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.62 %
RY.PR.O Perpetual-Discount -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 5.59 %
MFC.PR.I FixedReset Ins Non -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 7.23 %
BN.PF.F FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.76 %
SLF.PR.J FloatingReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 10.33 %
NA.PR.G FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 23.16
Evaluated at bid price : 24.91
Bid-YTW : 6.61 %
TD.PF.E FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.23
Evaluated at bid price : 22.58
Bid-YTW : 6.83 %
IFC.PR.I Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.45 %
IFC.PR.K Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.47 %
BIP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.32
Evaluated at bid price : 22.66
Bid-YTW : 8.61 %
SLF.PR.E Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.01 %
FFH.PR.D FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.86 %
PWF.PR.P FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 8.22 %
PWF.PR.K Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 6.63 %
MFC.PR.M FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.25 %
PWF.PR.L Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.65 %
MFC.PR.N FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.21 %
MFC.PR.F FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.57 %
TD.PF.A FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.32
Evaluated at bid price : 23.12
Bid-YTW : 6.25 %
BMO.PR.W FixedReset Disc 8.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 23.12
Evaluated at bid price : 23.80
Bid-YTW : 6.03 %
IAF.PR.B Insurance Straight 9.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.66
Evaluated at bid price : 21.91
Bid-YTW : 5.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 211,079 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.31 %
NA.PR.S FixedReset Disc 163,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.12
Evaluated at bid price : 22.74
Bid-YTW : 6.62 %
POW.PR.G Perpetual-Discount 113,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.68 %
NA.PR.W FixedReset Disc 112,527 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.95 %
BN.PF.E FixedReset Disc 87,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 9.03 %
CM.PR.T FixedReset Disc 82,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.96 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.H SplitShare Quote: 23.80 – 24.99
Spot Rate : 1.1900
Average : 0.6631

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 6.66 %

SLF.PR.C Insurance Straight Quote: 17.72 – 18.90
Spot Rate : 1.1800
Average : 0.7585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %

CU.PR.F Perpetual-Discount Quote: 17.40 – 18.64
Spot Rate : 1.2400
Average : 0.8551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.55 %

CM.PR.Y FixedReset Disc Quote: 25.01 – 25.80
Spot Rate : 0.7900
Average : 0.4618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 24.41
Evaluated at bid price : 25.01
Bid-YTW : 7.22 %

TD.PF.B FixedReset Disc Quote: 22.40 – 24.07
Spot Rate : 1.6700
Average : 1.3702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.90
Evaluated at bid price : 22.40
Bid-YTW : 6.55 %

MFC.PR.I FixedReset Ins Non Quote: 22.00 – 22.75
Spot Rate : 0.7500
Average : 0.4662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 7.23 %

BEP.PR.O To Be Redeemed

March 25th, 2024

Brookfield Renewable Partners L.P. has announced (emphasis added):

the closing of the issuance of a series of $150 million of fixed rate green perpetual subordinated notes (the “sub notes”), which upon settling of a concurrently executed Canadian dollar swap have an effective coupon rate of 6.78%. The sub notes, which have a coupon of 7.25%, will be listed on the New York Stock Exchange under the symbol “BEPJ” and have the same accounting and rating treatment as our Preferred Limited Partnership (“LP”) Units.

The sub notes will represent Brookfield Renewable’s thirteenth green labelled corporate securities issuance and the second issuance under Brookfield Renewable’s 2024 Green Financing Framework. Brookfield Renewable will use the net proceeds from the sale of the sub notes to finance or refinance eligible investments under Brookfield Renewable’s 2024 Green Financing Framework, including the redemption of its Class A Preferred LP Units, Series 15 (the “Series 15 Preferred Units”), which were scheduled to reset in April at approximately 70 basis points higher than the newly issued sub notes.

Wells Fargo Securities, LLC, BofA Securities, Inc., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC and RBC Capital Markets, LLC acted as joint book-running managers for the offering.

BEP.PR.O was issued as a FixedReset 5.75%+394M575 that commenced trading 2019-3-11 after being announced 2019-03-04. It has been tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

Thanks to Assiduous Reader IrateAR for bringing this to my attention!

March 25, 2024

March 25th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4065 % 2,358.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4065 % 4,523.7
Floater 10.20 % 10.30 % 43,445 9.34 1 0.4065 % 2,607.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1255 % 3,431.5
SplitShare 4.91 % 7.06 % 37,187 1.81 7 -0.1255 % 4,098.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1255 % 3,197.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0521 % 2,667.2
Perpetual-Discount 6.44 % 6.66 % 47,179 12.93 31 0.0521 % 2,908.4
FixedReset Disc 5.34 % 6.97 % 105,666 12.21 59 -0.1224 % 2,474.2
Insurance Straight 6.33 % 6.51 % 49,843 13.23 22 -0.0185 % 2,839.0
FloatingReset 9.98 % 10.14 % 29,734 9.46 3 -0.3005 % 2,600.9
FixedReset Prem 6.89 % 6.70 % 160,368 3.17 1 0.3542 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1224 % 2,529.2
FixedReset Ins Non 5.42 % 7.14 % 72,446 12.60 14 0.3100 % 2,623.8
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.58 %
BMO.PR.W FixedReset Disc -4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.64
Evaluated at bid price : 22.03
Bid-YTW : 6.54 %
BN.PF.J FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 7.98 %
TD.PF.A FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.96
Evaluated at bid price : 22.51
Bid-YTW : 6.43 %
PWF.PR.S Perpetual-Discount -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.78 %
PVS.PR.K SplitShare -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.98 %
GWO.PR.Y Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.55 %
PWF.PR.L Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.76 %
FFH.PR.D FloatingReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 9.98 %
CCS.PR.C Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.66 %
TD.PF.D FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 22.29
Evaluated at bid price : 22.70
Bid-YTW : 6.77 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.72
Evaluated at bid price : 22.07
Bid-YTW : 6.91 %
CU.PR.I FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.88
Evaluated at bid price : 22.42
Bid-YTW : 7.80 %
GWO.PR.H Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.50 %
IFC.PR.I Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 6.35 %
BIP.PR.F FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 7.80 %
CU.PR.E Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.51 %
POW.PR.D Perpetual-Discount 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.55 %
RY.PR.N Perpetual-Discount 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 22.42
Evaluated at bid price : 22.70
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 375,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.16 %
CM.PR.T FixedReset Disc 320,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.79 %
RY.PR.Z FixedReset Disc 192,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.90
Evaluated at bid price : 22.40
Bid-YTW : 6.49 %
RY.PR.J FixedReset Disc 185,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.82
Evaluated at bid price : 22.31
Bid-YTW : 6.87 %
CM.PR.Q FixedReset Disc 110,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 22.61
Evaluated at bid price : 23.05
Bid-YTW : 6.61 %
BMO.PR.S FixedReset Disc 105,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 23.26
Evaluated at bid price : 24.35
Bid-YTW : 6.06 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Disc Quote: 21.80 – 24.80
Spot Rate : 3.0000
Average : 1.6902

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 6.59 %

MFC.PR.L FixedReset Ins Non Quote: 20.00 – 24.06
Spot Rate : 4.0600
Average : 3.2189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.21 %

TD.PF.B FixedReset Disc Quote: 22.30 – 24.00
Spot Rate : 1.7000
Average : 1.0415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.58 %

BMO.PR.W FixedReset Disc Quote: 22.03 – 23.45
Spot Rate : 1.4200
Average : 0.8510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.64
Evaluated at bid price : 22.03
Bid-YTW : 6.54 %

TD.PF.A FixedReset Disc Quote: 22.51 – 23.73
Spot Rate : 1.2200
Average : 0.9677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.96
Evaluated at bid price : 22.51
Bid-YTW : 6.43 %

IAF.PR.B Insurance Straight Quote: 20.01 – 22.52
Spot Rate : 2.5100
Average : 2.2812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %

March 22, 2024

March 22nd, 2024

Some interesting remarks from BoC Deputy Governor Toni Gravelle:

Lately, though, we’ve all seen a lot of speculation about whether QT may need to end before we get to those levels. What’s driving that speculation is the upward pressure we saw in overnight repurchase agreement (repo) markets over an extended period, starting late in 2023 and continuing into the early part of this year. We don’t think the decline in settlement balances linked to our normalization process has been much of a factor behind that tightness in overnight markets. Nor do we see any signs of stress in the financial system that can be tied to those pressures.

Our assessment is that the surge in demand for repo funding in Canada came from growing market expectations that interest rates are going to fall.10 Late in 2023, market participants around the world became increasingly convinced that major central banks would pivot to aggressive policy rate cuts this year. Because of this conviction, many participants in Canada and elsewhere took leveraged long positions in government bonds to get ahead of the expected shift in policy.

The more policy rates fall, the more those bonds will be worth. And the promise of big gains led many to borrow in repo markets to fund the trades. Starting in December 2023, high demand for repo funding caused a wider-than-usual spread between our target overnight rate and the benchmark overnight interest rate, which is calculated from transacted overnight repo rates (Chart 3).

In addition to leveraged long positions, the “basis trade” that is common in the US Treasury market has recently become more popular in Canada.

This is an arbitrage strategy used to exploit gaps between prices for government bonds and the futures that are tied to them.11 The basis trade also boosted demand for repo funding, particularly from the growing presence of active hedge funds in Canadian fixed-income markets (Chart 4).

When the pressures in repo markets became evident earlier this year, we used our routine policy implementation operations to reinforce our policy rate. This is something we’ve done for decades, whenever it was needed.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,349.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,505.3
Floater 10.24 % 10.33 % 42,352 9.32 1 0.0000 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0777 % 3,435.8
SplitShare 4.90 % 7.02 % 38,507 1.82 7 0.0777 % 4,103.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0777 % 3,201.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3859 % 2,665.8
Perpetual-Discount 6.45 % 6.64 % 47,651 12.95 31 -0.3859 % 2,906.9
FixedReset Disc 5.33 % 7.13 % 105,882 12.08 59 -0.0183 % 2,477.3
Insurance Straight 6.33 % 6.50 % 48,800 13.25 22 -0.1039 % 2,839.5
FloatingReset 9.91 % 10.14 % 30,735 9.47 3 0.0752 % 2,608.7
FixedReset Prem 6.91 % 6.80 % 161,046 3.18 1 0.0000 % 2,525.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0183 % 2,532.3
FixedReset Ins Non 5.43 % 7.28 % 74,009 12.48 14 -0.0664 % 2,615.7
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.59 %
RY.PR.N Perpetual-Discount -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.62 %
POW.PR.D Perpetual-Discount -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.71 %
CU.PR.I FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 8.02 %
BN.PF.F FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 8.71 %
ELF.PR.H Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.50 %
IFC.PR.A FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 7.17 %
CU.PR.E Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.64 %
BIP.PR.F FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.06 %
BN.PF.I FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.77 %
GWO.PR.H Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.59 %
IFC.PR.I Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.45 %
GWO.PR.M Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.47 %
PWF.PR.G Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.11
Evaluated at bid price : 22.33
Bid-YTW : 6.72 %
PWF.PR.F Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 6.70 %
PWF.PR.E Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.70 %
NA.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 6.82 %
GWO.PR.Y Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.44 %
CM.PR.Q FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.43
Evaluated at bid price : 22.85
Bid-YTW : 6.80 %
BN.PR.Z FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 8.41 %
BMO.PR.W FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.29
Evaluated at bid price : 23.08
Bid-YTW : 6.36 %
BMO.PR.Y FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 6.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.H FixedReset Disc 152,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 8.32 %
TD.PF.E FixedReset Disc 150,945 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.45
Evaluated at bid price : 22.83
Bid-YTW : 6.89 %
BMO.PR.Y FixedReset Disc 115,911 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 6.69 %
FTS.PR.M FixedReset Disc 102,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.17 %
NA.PR.S FixedReset Disc 95,654 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 6.82 %
SLF.PR.H FixedReset Ins Non 53,277 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.28 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 19.81 – 24.06
Spot Rate : 4.2500
Average : 2.2967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.45 %

CU.PR.F Perpetual-Discount Quote: 17.46 – 18.64
Spot Rate : 1.1800
Average : 0.6885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 6.52 %

IAF.PR.B Insurance Straight Quote: 20.01 – 22.50
Spot Rate : 2.4900
Average : 2.0304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %

BN.PF.F FixedReset Disc Quote: 18.77 – 20.00
Spot Rate : 1.2300
Average : 0.8175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 8.71 %

BIP.PR.A FixedReset Disc Quote: 18.25 – 19.34
Spot Rate : 1.0900
Average : 0.6875

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.59 %

BIP.PR.F FixedReset Disc Quote: 20.50 – 21.40
Spot Rate : 0.9000
Average : 0.6454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.06 %

March 21, 2024

March 21st, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.0682 % 2,349.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0682 % 4,505.3
Floater 10.24 % 10.33 % 41,531 9.32 1 1.0682 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1018 % 3,433.2
SplitShare 4.90 % 7.04 % 38,743 1.83 7 0.1018 % 4,099.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1018 % 3,198.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4938 % 2,676.1
Perpetual-Discount 6.42 % 6.62 % 45,978 12.99 31 0.4938 % 2,918.2
FixedReset Disc 5.33 % 7.16 % 105,368 12.08 59 0.8843 % 2,477.7
Insurance Straight 6.33 % 6.50 % 50,377 13.25 22 0.0832 % 2,842.5
FloatingReset 9.91 % 10.14 % 31,934 9.47 3 0.4531 % 2,606.8
FixedReset Prem 6.91 % 6.79 % 160,829 3.18 1 0.1972 % 2,525.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8843 % 2,532.7
FixedReset Ins Non 5.43 % 7.32 % 73,477 12.48 14 0.0480 % 2,617.4
Performance Highlights
Issue Index Change Notes
IAF.PR.B Insurance Straight -8.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %
BN.PR.Z FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %
GWO.PR.Y Insurance Straight -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.54 %
SLF.PR.H FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.32 %
CM.PR.T FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.58 %
BMO.PR.Y FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.95
Evaluated at bid price : 22.53
Bid-YTW : 6.82 %
FFH.PR.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 8.38 %
FFH.PR.D FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.81 %
BN.PR.B Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 10.33 %
PWF.PR.S Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.61 %
PWF.PR.F Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.62 %
BN.PR.N Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.69 %
RY.PR.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 6.94 %
BMO.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 23.28
Evaluated at bid price : 24.35
Bid-YTW : 6.21 %
MFC.PR.K FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.91
Evaluated at bid price : 22.36
Bid-YTW : 6.79 %
CCS.PR.C Insurance Straight 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.62 %
BN.PR.M Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 6.60 %
RY.PR.Z FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.75 %
RY.PR.H FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.57
Evaluated at bid price : 21.92
Bid-YTW : 6.81 %
RY.PR.S FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.47
Evaluated at bid price : 23.35
Bid-YTW : 6.48 %
CM.PR.O FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.82
Evaluated at bid price : 23.66
Bid-YTW : 6.33 %
BMO.PR.W FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.04
Evaluated at bid price : 22.65
Bid-YTW : 6.49 %
RY.PR.M FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 6.84 %
TD.PF.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.40
Evaluated at bid price : 22.82
Bid-YTW : 6.87 %
TD.PF.A FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.29
Bid-YTW : 6.35 %
BN.PR.X FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.47 %
CM.PR.Q FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.90
Evaluated at bid price : 22.44
Bid-YTW : 6.91 %
NA.PR.W FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.16 %
TD.PF.E FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.02
Bid-YTW : 6.83 %
IFC.PR.I Insurance Straight 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.36 %
RY.PR.N Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.48 %
CM.PR.P FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.49
Evaluated at bid price : 21.83
Bid-YTW : 6.73 %
TD.PF.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.80
Evaluated at bid price : 22.27
Bid-YTW : 6.64 %
BN.PF.I FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 8.65 %
BMO.PR.T FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.45
Evaluated at bid price : 23.36
Bid-YTW : 6.34 %
GWO.PR.G Insurance Straight 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.51 %
BIP.PR.A FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 9.27 %
SLF.PR.C Insurance Straight 5.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 5.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.T FixedReset Disc 387,654 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.58 %
TD.PF.L FixedReset Disc 337,330 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.01 %
BMO.PR.S FixedReset Disc 167,014 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 23.28
Evaluated at bid price : 24.35
Bid-YTW : 6.21 %
TD.PF.E FixedReset Disc 126,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.02
Bid-YTW : 6.83 %
RY.PR.H FixedReset Disc 126,057 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.57
Evaluated at bid price : 21.92
Bid-YTW : 6.81 %
CM.PR.O FixedReset Disc 79,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.82
Evaluated at bid price : 23.66
Bid-YTW : 6.33 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.B Insurance Straight Quote: 20.01 – 22.52
Spot Rate : 2.5100
Average : 1.5264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %

NA.PR.W FixedReset Disc Quote: 20.65 – 21.67
Spot Rate : 1.0200
Average : 0.6079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.16 %

POW.PR.G Perpetual-Discount Quote: 21.47 – 22.00
Spot Rate : 0.5300
Average : 0.3106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 6.67 %

GWO.PR.Y Insurance Straight Quote: 17.30 – 18.10
Spot Rate : 0.8000
Average : 0.5953

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.54 %

BN.PR.Z FixedReset Disc Quote: 19.11 – 19.85
Spot Rate : 0.7400
Average : 0.5753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %

TD.PF.A FixedReset Disc Quote: 23.29 – 23.98
Spot Rate : 0.6900
Average : 0.5389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.29
Bid-YTW : 6.35 %

CWB.PR.B and CWB.PR.D To Be Extended

March 21st, 2024

Canadian Western Bank has announced:

that it does not intend to exercise its right to redeem all or any of its currently outstanding 5,000,000 non-cumulative 5-year rate reset First Preferred Shares Series 5 (the “Series 5 Preferred Shares”) (TSX: CWB.PR.B) on April 30, 2024. As a result, subject to certain conditions described in the prospectus supplement dated February 3, 2014 relating to the issuance of the Series 5 Preferred Shares (the “Series 5 Preferred Share Prospectus”), the holders of the Series 5 Preferred Shares have the right, at their option, to convert any or all of their Series 5 Preferred Shares into an equal number of CWB’s non-cumulative floating rate First Preferred Shares Series 6 (the “Series 6 Preferred Shares”), subject to certain conditions, on April 30, 2024. In accordance with the share conditions, a formal notice of the right to convert Series 5 Preferred Shares into Series 6 Preferred Shares will be sent to the registered holders of the Series 5 Preferred Shares. Holders of Series 5 Preferred Shares are not required to elect to convert all or any part of their Series 5 Preferred Shares into Series 6 Preferred Shares. Holders who do not exercise their right to convert their Series 5 Preferred Shares into Series 6 Preferred Shares on April 30, 2024 will retain their Series 5 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right with respect to the Series 5 Preferred Shares is subject to the conditions that: (i) if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 6 Preferred Shares outstanding on April 30, 2024, then no Series 5 Preferred Shares will be converted into Series 6 Preferred Shares, and (ii) alternatively, if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 5 Preferred Shares outstanding on April 30, 2024, then all remaining Series 5 Preferred Shares will automatically be converted into an equal number of Series 6 Preferred Shares on April 30, 2024. In either case, CWB will give written notice to that effect to any registered holders of Series 5 Preferred Shares affected by the preceding minimums on or before April 23, 2024.

CWB today also announced that it does not intend to exercise its right to redeem all or any of its currently outstanding 5,000,000 non-cumulative 5-year rate reset First Preferred Shares Series 9 (Non-Viability Contingent Capital (NVCC)) (the “Series 9 Preferred Shares”) (TSX: CWB.PR.D) on April 30, 2024. As a result, subject to certain conditions described in the prospectus supplement dated January 22, 2019 relating to the issuance of the Series 9 Preferred Shares (the “Series 9 Preferred Share Prospectus”), the holders of the Series 9 Preferred Shares have the right, at their option, to convert any or all of their Series 9 Preferred Shares into an equal number of CWB’s non-cumulative floating rate First Preferred Shares Series 10 (Non-Viability Contingent Capital (NVCC)) (the “Series 10 Preferred Shares”), subject to certain conditions, on April 30, 2024. In accordance with the share conditions, a formal notice of the right to convert Series 9 Preferred Shares into Series 10 Preferred Shares will be sent to the registered holders of the Series 9 Preferred Shares. Holders of Series 9 Preferred Shares are not required to elect to convert all or any part of their Series 9 Preferred Shares into Series 10 Preferred Shares. Holders who do not exercise their right to convert their Series 9 Preferred Shares into Series 10 Preferred Shares on April 30, 2024 will retain their Series 9 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right with respect to the Series 9 Preferred Shares is subject to the conditions that: (i) if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 10 Preferred Shares outstanding on April 30, 2024, then no Series 9 Preferred Shares will be converted into Series 10 Preferred Shares, and (ii) alternatively, if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 9 Preferred Shares outstanding on April 30, 2024, then all remaining Series 9 Preferred Shares will automatically be converted into an equal number of Series 10 Preferred Shares on April 30, 2024. In either case, CWB will give written notice to that effect to any registered holders of Series 9 Preferred Shares affected by the preceding minimums on or before April 23, 2024.

The dividend rate applicable to the Series 5 Preferred Shares and the Series 9 Preferred Shares for the 5-year period commencing on May 1, 2024, and ending on and including April 30, 2029, and the dividend rate applicable to the Series 6 Preferred Shares and the Series 10 Preferred Shares for the 3-month period commencing on May 1, 2024, and ending on and including July 31, 2024, will be determined and announced by way of a news release on April 1, 2024. CWB will also give written notice of these dividend rates to the registered holders of Series 5 Preferred Shares and the Series 9 Preferred Shares, as applicable.

Beneficial owners of Series 5 Preferred Shares and Series 9 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (EDT) on April 15, 2024. Conversion inquiries should be directed to CWB’s Registrar and Transfer Agent, Computershare, at 1-800-564-6253.

Subject to certain conditions described in the Series 5 Preferred Share Prospectus and the Series 9 Preferred Share Prospectus, CWB may redeem the Series 5 Preferred Shares and the Series 9 Preferred Shares, as applicable, in whole or in part, on April 30, 2029 and on April 30 every five years thereafter and may redeem the Series 6 Preferred Shares and the Series 10 Preferred Shares, as applicable, in whole or in part, after April 30, 2024.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 6 Preferred Shares and the Series 10 Preferred Shares effective upon conversion. Listing of the Series 6 Preferred Shares is subject to CWB fulfilling all the listing requirements of the TSX and, upon approval, the Series 6 Preferred Shares will be listed on the TSX under the trading symbol “CWB.PR.E”. Listing of the Series 10 Preferred Shares is subject to CWB fulfilling all the listing requirements of the TSX and, upon approval, the Series 10 Preferred Shares will be listed on the TSX under the trading symbol “CWB.PR.F”.

The Series 5 Preferred Shares, Series 6 Preferred Shares, Series 9 Preferred Shares and Series 10 Preferred Shares have not been and will not be registered in the United States under the United States Securities Act of 1933, as amended (the “Securities Act”), or the securities laws of any state of the United States and may not be offered, sold or delivered, directly or indirectly in the United States or to, or for the account or benefit of, a “U.S. person” (as defined in Regulation S under the Securities Act) absent registration or an applicable exemption from such registration requirements. This press release does not constitute an offer to sell or a solicitation to buy securities in the United States and any public offering of the securities in the United States must be made by means of a prospectus.

CWB.PR.B was issued as a FixedReset, 4.40%+276, that commenced trading 2014-2-10 after being announced 2014-1-31. The extension was announced 2019-3-11. Itreset at 4.301% effective 2019-5-1. I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) index on credit concerns.

CWB.PR.D was issued as a FixedReset, 6.00%+404, NVCC-Compliant, that commenced trading 2019-1-29 after being announced 2019-01-21. It is tracked by HIMIPref™ but is relegated to the Scraps FixedReset-Discount subindex on credit concerns.

Thanks to Assiduous Reader niagara for bringing this to my attention!

CM.PR.T To Be Redeemed

March 21st, 2024

Canadian Imperial Bank of Commerce has announced:

its intention to redeem all of its issued and outstanding Non-cumulative Rate Reset Class A Preferred Shares Series 49 (Non-viability contingent capital (NVCC)) (Series 49 shares) (TSX: CM.PR.T), for cash. The redemption will occur on April 30, 2024. The redemption price is $25.00 per Series 49 share.

The $0.325000 quarterly dividend announced on February 29, 2024 will be the final dividend on the Series 49 shares and will be paid on April 29, 2024, covering the period to April 30, 2024, to shareholders of record on March 28, 2024.

Holders of the Series 49 shares should contact the financial institution, broker or other intermediary through which they hold the shares to confirm how they will receive their redemption proceeds.

CM.PR.T was issued as a FixedReset, 5.20%+331, NVCC-compliant, that commenced trading 2019-1-22 after being announced 2019-1-14. It has been tracked by HIMIPref™ and is assigned to the FixedReset (discount) subindex.

Thanks to Assiduous Readers niagara and PS for bringing this to my attention!

March 20, 2024

March 20th, 2024

No surprises from the Fed:

Recent indicators suggest that economic activity has been expanding at a solid pace. Job gains have remained strong, and the unemployment rate has remained low. Inflation has eased over the past year but remains elevated.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. The Committee judges that the risks to achieving its employment and inflation goals are moving into better balance. The economic outlook is uncertain, and the Committee remains highly attentive to inflation risks.

In support of its goals, the Committee decided to maintain the target range for the federal funds rate at 5-1/4 to 5-1/2 percent. In considering any adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks. The Committee does not expect it will be appropriate to reduce the target range until it has gained greater confidence that inflation is moving sustainably toward 2 percent. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Thomas I. Barkin; Michael S. Barr; Raphael W. Bostic; Michelle W. Bowman; Lisa D. Cook; Mary C. Daly; Philip N. Jefferson; Adriana D. Kugler; Loretta J. Mester; and Christopher J. Waller.

But there was much excitement about projections:

Fed officials also released a fresh set of economic projections Wednesday. They show that central bank officials now expect fewer rate cuts in the coming years than they estimated in December. A majority of Fed policymakers continue to expect three rate cuts this year, but they now see fewer in 2025 and 2026. They expect interest rates in the longer run to be slightly higher than they projected in December.

Which, claim some pundits, was considered to be good news:

Stocks added to gains after Fed Chair Jerome Powell said in a press conference that despite recent inflation data coming in hotter than expected, the numbers “haven’t really changed the overall story, which is that of inflation moving down gradually, on a somewhat bumpy road.”

Strategists said Wall Street was reassured by Powell’s comments on inflation and the labor market and his signal that the Fed will slow the pace of its drawdown of bond holdings.

The Dow Jones Industrial Average rose 401.37 points, or 1.03%, to 39,512.13, the S&P 500 gained 46.11 points, or 0.89%, to 5,224.62 and the Nasdaq Composite gained 202.62 points, or 1.25%, to 16,369.41.

The Toronto Stock Exchange’s S&P/TSX composite index ended up 185.13 points, or 0.9%, at 22,045.71, stopping just short of the record closing high it posted in March 2022 at 22,087.22.

The Fed’s dotplot suggests that many of those who have expectations of the GOC-5 being below 2% in the immediate future are going to be disappointed.

PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 14.99, an increase of 27bp in price, implying a decline of yields of 2bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.10%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 355bp from the 365bp reported March 13.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6531 % 2,324.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6531 % 4,457.7
Floater 10.35 % 10.44 % 40,741 9.25 1 -0.6531 % 2,569.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1379 % 3,429.7
SplitShare 4.91 % 7.05 % 40,272 1.83 7 0.1379 % 4,095.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1379 % 3,195.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0946 % 2,663.0
Perpetual-Discount 6.45 % 6.66 % 46,310 12.91 31 0.0946 % 2,903.8
FixedReset Disc 5.38 % 7.30 % 106,679 12.06 59 0.2645 % 2,456.0
Insurance Straight 6.33 % 6.49 % 50,895 13.27 22 -0.1016 % 2,840.1
FloatingReset 9.96 % 10.16 % 32,314 9.45 3 0.1134 % 2,595.0
FixedReset Prem 6.93 % 6.85 % 160,876 3.18 1 0.0000 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2645 % 2,510.5
FixedReset Ins Non 5.43 % 7.19 % 73,726 12.49 14 1.0627 % 2,616.2
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %
GWO.PR.G Insurance Straight -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.72 %
BIP.PR.A FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.58 %
RY.PR.N Perpetual-Discount -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.62 %
PWF.PR.P FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.52 %
PWF.PR.G Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.63 %
POW.PR.C Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.50 %
BN.PR.X FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 8.63 %
FTS.PR.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.09 %
FTS.PR.H FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 8.30 %
IFC.PR.E Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.42 %
FTS.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.24 %
MFC.PR.F FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 7.84 %
CM.PR.O FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.42
Evaluated at bid price : 23.30
Bid-YTW : 6.43 %
CU.PR.I FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 7.91 %
NA.PR.S FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.87
Evaluated at bid price : 22.35
Bid-YTW : 6.90 %
BMO.PR.W FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.82
Evaluated at bid price : 22.30
Bid-YTW : 6.60 %
MFC.PR.J FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.16
Evaluated at bid price : 22.70
Bid-YTW : 6.93 %
BN.PF.I FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.87 %
FFH.PR.G FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 8.62 %
SLF.PR.H FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.19 %
GWO.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 8.33 %
BN.PR.Z FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.33 %
IFC.PR.A FixedReset Ins Non 6.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 170,097 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.93 %
CM.PR.O FixedReset Disc 65,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.42
Evaluated at bid price : 23.30
Bid-YTW : 6.43 %
TD.PF.L FixedReset Disc 61,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.25 %
SLF.PR.G FixedReset Ins Non 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.09 %
MFC.PR.F FixedReset Ins Non 56,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 7.84 %
SLF.PR.J FloatingReset 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 10.16 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 17.05 – 17.95
Spot Rate : 0.9000
Average : 0.5720

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.20 %

BN.PF.F FixedReset Disc Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.6779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.60 %

CU.PR.E Perpetual-Discount Quote: 18.96 – 19.78
Spot Rate : 0.8200
Average : 0.5162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 6.54 %

GWO.PR.G Insurance Straight Quote: 19.45 – 20.21
Spot Rate : 0.7600
Average : 0.4806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.72 %

BIP.PR.A FixedReset Disc Quote: 18.25 – 18.95
Spot Rate : 0.7000
Average : 0.4394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.58 %

SLF.PR.C Insurance Straight Quote: 17.72 – 19.10
Spot Rate : 1.3800
Average : 1.1422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %

March 19, 2024

March 19th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.6598 % 2,339.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6598 % 4,487.0
Floater 10.29 % 10.37 % 39,708 9.30 1 1.6598 % 2,585.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,424.9
SplitShare 4.92 % 7.07 % 39,991 1.83 7 0.2223 % 4,090.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,191.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1945 % 2,660.5
Perpetual-Discount 6.46 % 6.67 % 48,116 12.91 31 0.1945 % 2,901.1
FixedReset Disc 5.39 % 7.30 % 99,119 12.07 59 0.2466 % 2,449.5
Insurance Straight 6.32 % 6.49 % 50,772 13.27 22 0.2895 % 2,843.0
FloatingReset 9.97 % 10.16 % 29,910 9.45 3 0.6276 % 2,592.1
FixedReset Prem 6.93 % 6.84 % 163,123 3.18 1 0.0000 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2466 % 2,503.9
FixedReset Ins Non 5.49 % 7.48 % 68,766 12.42 14 -0.3493 % 2,588.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.53 %
FTS.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.32 %
GWO.PR.N FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 8.49 %
BIP.PR.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 7.93 %
MFC.PR.M FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.59 %
FTS.PR.H FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 8.40 %
PWF.PR.P FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 8.44 %
FTS.PR.I FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 10.16 %
BMO.PR.W FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 6.70 %
GWO.PR.Y Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.44 %
BMO.PR.Y FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 6.96 %
NA.PR.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 23.26
Evaluated at bid price : 25.21
Bid-YTW : 6.61 %
BN.PR.B Floater 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 10.37 %
BN.PF.J FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.87 %
BMO.PR.T FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.05
Evaluated at bid price : 22.65
Bid-YTW : 6.55 %
SLF.PR.C Insurance Straight 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 193,130 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.12 %
CM.PR.O FixedReset Disc 117,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 6.52 %
CM.PR.T FixedReset Disc 91,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 23.92
Evaluated at bid price : 24.93
Bid-YTW : 7.08 %
TD.PF.B FixedReset Disc 70,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.53
Evaluated at bid price : 23.51
Bid-YTW : 6.35 %
RY.PR.M FixedReset Disc 56,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 6.96 %
SLF.PR.H FixedReset Ins Non 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.32 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 22.10 – 25.08
Spot Rate : 2.9800
Average : 2.4412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 6.96 %

IFC.PR.A FixedReset Ins Non Quote: 17.59 – 18.85
Spot Rate : 1.2600
Average : 0.7994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.53 %

BN.PR.X FixedReset Disc Quote: 15.23 – 16.15
Spot Rate : 0.9200
Average : 0.7349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 15.23
Evaluated at bid price : 15.23
Bid-YTW : 8.72 %

POW.PR.B Perpetual-Discount Quote: 20.55 – 21.00
Spot Rate : 0.4500
Average : 0.2740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.65 %

FFH.PR.G FixedReset Disc Quote: 16.90 – 17.40
Spot Rate : 0.5000
Average : 0.3296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 8.77 %

BN.PF.I FixedReset Disc Quote: 19.66 – 20.45
Spot Rate : 0.7900
Average : 0.6243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 9.02 %